Search Results - subject:"Prediction Intervals"

Multiple forecasts with autoregressive time series models: case studies

Chan, W.S; Cheung, S.H; Wu, K.H - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 421-430

policies. In many circumstances, instead of a single forecast, simultaneous prediction intervals for multiple forecasts are … Gaussian autoregressive time series processes, several procedures for constructing simultaneous prediction intervals have been …

Persistent link: https://www.econbiz.de/10010748479

Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany

Borbély, Dora; Meier, Carsten-Patrick - Institut für Weltwirtschaft (IfW) - 2003

This paper proposes an approach for estimating the uncertainty associated with model-based macroeconomic forecasts. We argue that estimated forecast intervals should account for the uncertainty arising from selecting the specification of an empirical forecasting model from the sample data. To...

Persistent link: https://www.econbiz.de/10005700569

Kernel smoothed prediction intervals for ARMA models

Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

The procedures of estimating prediction intervals for ARMA processes can be divided into model based methods and …

Persistent link: https://www.econbiz.de/10005357889

Bootstrapping forecast intervals in ARCH models

Miguel, Jesús; Olave, Pilar - In: TEST: An Official Journal of the Spanish Society of … 8 (1999) 2, pp. 345-364

Persistent link: https://www.econbiz.de/10005759561